The Impact of Oil Shocks on Systemic Risk of the Commodity Markets  

作　　者：DAI Zhifeng WU Tong 

机构地区：[1]College of Mathematics and Statistics,Hunan Provincial Key Laboratory of Mathematical Modeling and Analysis in Engineering,Changsha University of Science and Technology,Changsha 410114,China

出　　处：《Journal of Systems Science & Complexity》2024年第6期2697-2720,共24页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant Nos.71771030and 72131011;Ministry of Education Humanities and Social Sciences Project under Grant No.22YJA790011。

摘　　要：This study examines the influence of oil shocks on systemic risk spillover among the commodity markets.Specifically,this paper uses the DCC-GARCH approach combined with the TVP-VAR model to calculate risk connectedness and the GARCH-MIDAS model to explore how oil shocks from different sources affect the risk spillover effects among the commodity markets.The results are the following:First,there are significant risk spillovers among the commodity markets with important time-varying characteristics and with sharp changes in times of crisis.The industrial metals,agriculture,precious metals,and light energy commodity markets are risk recipients,and the energy and livestock commodity markets are risk exporters.Second,oil price shocks,particularly oil aggregate demand shocks,prominently affect the total risk connectedness among the commodity markets.In particular,the impact on the net risk spillover effect of different commodity market differs.

关 键 词：Commodity markets connectedness GARCH-MIDAS model oil price shocks systemic risk 

分 类 号：F416.22[经济管理—产业经济] F713